i guess thats an interesting question....
the features that cfw gives are so much more than the ability to play iso and csos off the memory stick... running homemade (homebrew) programs is a excelent feature, there are SO many, I have loads a use on a day to day basis, like lightMP3 (makes battery last longer), hardware alarm and so on... look on our downloads section, or check out dl.qj.com... another feature similar is plugins, which give the ability to play ps1 games, o and emulators... theres so much more...
also the xmb (menu system) can be completely changed to however you like! (cxmb plugin & ctf themes)
the feature of playing them from MS is to for convenience, we buy games when we can XD
the other reason is the piracy of games, means less games made
think about it...